OnixS directConnect: CBOE Market Interface 2 (CMi2) Order Routing Handler is a C++ library that provides ultra-low latency access to CBOEdirect - the electronic trading system for CBSX, CBOE, CFE, and One Chicago.
CMi2 is a binary asynchronous message-based application programming interface implemented over TCP/IP that is used to access CBOEdirect.
- Low latency, high throughput.
- High-level and easy-to-use API that enable quick integration of CBOE CMi2 Order Routing without deep involvement in the specific protocols.
- Supports order routing and market making.
- Supports mass quoting, product information retrieval and status updates.
- Supports the ability to define and trade multiple leg instruments, such as options strategies and futures calendar spreads.
- Highly configurable logging.
- Getting Started, Benchmark and Log Replay samples designed to get up and running rapidly.
- Light hardware and deployment requirements.
Supported Message Types
Session Layer Messages:
- Logon Response
- Session Level Reject
- Sequence Reset Notification
- Rate Information
Application Layer Messages:
- Trading Session Status Request
- Trading Session Status Response
- Product Download Request for Trading Session
- Product Download Response for Trading Session
- Product Download Request for Class
- Product State Update Message
- Product Download Response for Class - Options
- Product Download Response for Class – Futures
- Product Download Response for Class – Strategy
- Product Download Response for Class – Equity
- Strategy Definition Request
- Quote / Mass Quote
- Quote Acknowledgement
- Quote Cancel Request
- Quote Cancel Response
- Quote Bust Report
- Quote Fill Report
- Request For Quote / Response For Quote Request
- QRM Enablement and Settings
- QRM Control Update Initialization
- Auction Subscription
- Auction Notification
- Order Format 1 Order Entry
- Order Format 1 Order Cancel
- Order Format 1 Order Cancel / Replace
- Strategy Order
- Strategy Order Cancel / Replace
- Paired Order
- Paired Strategy Order
- Order Response
- Order Format 2 Order Entry
- Order Format 2 Order Cancel
- Order Format 2 Order Cancel/Replace
- Order Format 2 Order Response
- Order Fill Report
- Order Bust Report
- Order Bust Reinstate Report
- GMD Acknowledgement
- Business Reject
- Text Message
- Accept Floor Trade
- Accept Floor Trade Response
- Delete Floor Trade
- Request Acknowledgement
- Quote / Mass Quote With Clearing Information
- QRM Query Response
- Product Download Request for Trading Session with Underlying
- Product Download Response for Trading Session with Underlying
- Trading Session Business Day Request
- Trading Session Business Day Response
CBOE DMA solutions
Utra low-latency CBOE Direct Market Access solutions for automated trading strategies
CBOE Market Interface 2 (CMi2) Order Routing Handler SDKs include:
- Handler library
- Sample projects (Getting Started, Benchmark, Log Replay)